When the 'Big Four' - Metallica, Slayer, Megadeth and Anthrax - shared a stage together on 22nd June 2010 in Sofia, Bulgaria, the show was beamed live into over 550 theatres worldwide via satellite in a special HD cinematic event. The Big Four Live from Sofia includes full shows from all four bands as well as behind the scenes and interview footage. The legendary concert from the Sonisphere Festival was one of only 7 shows across Europe when the four monsters of metal shared a stage for the first time.

This show was filmed live on October 9, 2005 at Obras Stadium, Buenos Aires, Argentina before a rabid audience of over 25,000 fans. The 90-plus minute film features songs encompassing MEGADETH's career, ranging from their 1986 album Peace Sells…But Who's Buying through 2004's The System Has Failed . “This was one of the greatest nights of my life,” says MEGADETH founder and frontman DAVE MUSTAINE . “I am glad I was able to document it and share it with you. ‘That One Night' is a lesson in metal fanaticism by some of the best participating, most frenzied, and intense concert-goers in the world!

Blood in the Water: Live in San Diego is a live DVD from American thrash metal band Megadeth. It features a live concert recorded at Cox Arena in San Diego filmed during Gigantour 2008 on May 20, 2008. Setlist: 01. Sleepwalker / 02. Wake Up Dead / 03. Take No Prisoners / 04. Skin o' My Teeth / 05. Washington is Next! / 06. Kick the Chair / 07. In My Darkest Hour / 08. Hangar 18 / 09. Burnt Ice / 10. A Tout le Monde / 11. Chris's solo / 12. Tornado of Souls / 13. Ashes in Your Mouth / 14. Symphony of Destruction / 15. Trust / 16. Peace Sells / 17. Holy Wars... The Punishment Due

On June 16, 2010, at the Sonisphere Festival at Bemowo Airport in Warsaw, Poland, the "big four" of American thrash metal—Metallica, Slayer, Megadeth, and Anthrax—performed together for the first time. Megadeth was the second band to go on and played 12 songs.